Optimal Control Of Diffusion Processes
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Optimal Control Of Diffusion Processes
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Author : Vivek S. Borkar
language : en
Publisher: Longman
Release Date : 1989
Optimal Control Of Diffusion Processes written by Vivek S. Borkar and has been published by Longman this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Control theory categories.
Optimal Control Of Diffusion Processes
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Author : Wendell H. Fleming
language : en
Publisher:
Release Date : 1972
Optimal Control Of Diffusion Processes written by Wendell H. Fleming and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1972 with categories.
The paper summarizes some recent work on optimal control theory for continuous parameter stochastic processes. The author discusses only the control of Markov diffusion processes governed by stochastic differential equations of Ito type. Moreover, the author considers only the two cases when either: (A) no observations are available to the controller (open loop control); or (B) the states of the processes are completely observed by the controller. (Author).
On The Optimal Control Of Diffusion Processes
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Author : Martin Lee Puterman
language : en
Publisher:
Release Date : 1996
On The Optimal Control Of Diffusion Processes written by Martin Lee Puterman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.
Controlled Diffusion Processes
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Author : N. V. Krylov
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-09-26
Controlled Diffusion Processes written by N. V. Krylov and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-09-26 with Science categories.
Stochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. ~urin~ that period an extensive literature appeared on optimal stochastic control using the quadratic performance criterion (see references in Wonham [76]). At the same time, Girsanov [25] and Howard [26] made the first steps in constructing a general theory, based on Bellman's technique of dynamic programming, developed by him somewhat earlier [4]. Two types of engineering problems engendered two different parts of stochastic control theory. Problems of the first type are associated with multistep decision making in discrete time, and are treated in the theory of discrete stochastic dynamic programming. For more on this theory, we note in addition to the work of Howard and Bellman, mentioned above, the books by Derman [8], Mine and Osaki [55], and Dynkin and Yushkevich [12]. Another class of engineering problems which encouraged the development of the theory of stochastic control involves time continuous control of a dynamic system in the presence of random noise. The case where the system is described by a differential equation and the noise is modeled as a time continuous random process is the core of the optimal control theory of diffusion processes. This book deals with this latter theory.
Optimal Control Of Diffusion Processes With Discontinuous Coefficients
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Author : Keigo Yamada
language : en
Publisher:
Release Date : 1972
Optimal Control Of Diffusion Processes With Discontinuous Coefficients written by Keigo Yamada and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1972 with Markov processes categories.
Optimal Control Of Diffusion Processes And Hamilton Jacobi Bellman Equations
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Author : Pierre-Louis Lions
language : en
Publisher:
Release Date : 1983
Optimal Control Of Diffusion Processes And Hamilton Jacobi Bellman Equations written by Pierre-Louis Lions and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1983 with categories.
Optimal Control Of Markov Diffusion Processes
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Author : Wendell H. Fleming
language : en
Publisher:
Release Date : 1978
Optimal Control Of Markov Diffusion Processes written by Wendell H. Fleming and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1978 with categories.
Some results from optimal stochastic theory are surveyed in this paper, with particular emphasis on control of diffusion processes. Methods for obtaining necessary and sufficient conditions for an optimum are obtained, as well as some techniques for approximate solution. A new application of stochastic control methods is made to obtain Ventcel-Freidlin type estimates for the probability that the states of a diffusion process remain in a given region during a given time period. (Author).
Optimal Control Of A Class Of Diffusion Processes
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Author : Jerome Barry Shapiro
language : en
Publisher:
Release Date : 1970
Optimal Control Of A Class Of Diffusion Processes written by Jerome Barry Shapiro and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1970 with categories.
Optimal Control Of Diffusion Processes And Hamilton Jacobi Bellman Equations
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Author : Pierre-Louis Lions
language : en
Publisher:
Release Date : 1983
Optimal Control Of Diffusion Processes And Hamilton Jacobi Bellman Equations written by Pierre-Louis Lions and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1983 with categories.
Controlled Diffusion Processes
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Author : N.V. Krylov
language : en
Publisher: Springer
Release Date : 1980-11-12
Controlled Diffusion Processes written by N.V. Krylov and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 1980-11-12 with Mathematics categories.
Stochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. During that period an extensive literature appeared on optimal stochastic control using the quadratic performance criterion (see references in W onham [76J). At the same time, Girsanov [25J and Howard [26J made the first steps in constructing a general theory, based on Bellman's technique of dynamic programming, developed by him somewhat earlier [4J. Two types of engineering problems engendered two different parts of stochastic control theory. Problems of the first type are associated with multistep decision making in discrete time, and are treated in the theory of discrete stochastic dynamic programming. For more on this theory, we note in addition to the work of Howard and Bellman, mentioned above, the books by Derman [8J, Mine and Osaki [55J, and Dynkin and Yushkevich [12]. Another class of engineering problems which encouraged the development of the theory of stochastic control involves time continuous control of a dynamic system in the presence of random noise. The case where the system is described by a differential equation and the noise is modeled as a time continuous random process is the core of the optimal control theory of diffusion processes. This book deals with this latter theory.